Related papers: Some new results on sample path optimality in ergo…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We…
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of…
This paper provides necessary conditions of optimality for optimal control problems with time delays in both state and control variables. Different versions of the necessary conditions cover fixed end-time problems and, under additional…
In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…
In this article, we prove the existence of optimal risk-sensitive control with state constraints. We use near monotone assumption on the running cost to prove the existence of optimal risk-sensitive control.
We study one-sided and $\alpha$-correct sequential hypothesis testing for data generated by an ergodic Markov chain. The null hypothesis is that the unknown transition matrix belongs to a prescribed set $P$ of stochastic matrices, and the…
We consider the problem of the estimation of the invariant distribution function of an ergodic diffusion process when the drift coefficient is unknown. The empirical distribution function is a natural estimator which is unbiased, uniformly…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
Within the nonparametric diffusion model, we develop a multiple test to infer about similarity of an unknown drift $b$ to some reference drift $b_0$: At prescribed significance, we simultaneously identify those regions where violation from…
Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a…
We reassess the concept of transition at minimum work in classical stochastic finite-time thermodynamics, when the system dynamics is modelled by a diffusion process. We show that a well-posed formulation of the optimal control problem…
Conditions sufficient for the transience of the process have been established for the Markov diffusion model with switching and two modes, transient and ergodic, with intensities bounded away from zero. This paper shows limitations on the…
Following Demidovich's concept and definition of convergent systems, we analyze the optimal nonlinear damping control, recently proposed [1] for the second-order systems. Targeting the problem of output regulation, correspondingly tracking…
The problem of sampling according to the probability distribution minimizing a given free energy, using interacting particles unadjusted kinetic Langevin Monte Carlo, is addressed. In this setting, three sources of error arise, related to…
Many complex real world phenomena exhibit abrupt, intermittent or jumping behaviors, which are more suitable to be described by stochastic differential equations under non-Gaussian L\'evy noise. Among these complex phenomena, the most…
In this paper, an abstract framework for the error analysis of discontinuous finite element method is developed for the distributed and Neumann boundary control problems governed by the stationary Stokes equation with control constraints.…
This note studies (practical) asymptotic stability of nonlinear networked control systems whose protocols are not necessarily uniformly globally exponentially stable. In particular, we propose a Lyapunov-based approach to establish…
We consider the long-time behavior of an explicit tamed Euler scheme applied to a class of stochastic differential equations driven by additive noise, under a one-sided Lipschitz continuity condition. The setting encompasses drift…
This paper investigates the exact controllability problem for multi-dimensional stochastic first-order symmetric hyperbolic systems with control inputs acting in two distinct ways: an internal control applied to the diffusion term and a…